Microstructure noise, realized variance, and optimal sampling
Microstructure noise, realized variance, and optimal sampling
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DOI：
10.1111/j.1467-937x.2008.00474.x
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发表时间：
2008-04-01
影响因子：
5.8
通讯作者：
Russell, J. R.
中科院分区：
文献类型：
--
作者：
Bandi, F. M.;Russell, J. R.
最近大量的文献开创性地将每日内观察到的收益的平方求和，即“已实现方差”，以估计金融资产价格的每日综合方差，这是传统的经济利益对象。我们发现，在市场微观结构噪声的存在下，已实现的方差并不能识别无摩擦均衡价格的日综合方差。然而，我们证明，在非常高的采样频率的噪声引起的偏差可以适当地权衡与通过高频采样获得的方差减少，并得出一个均方误差（MSE）的最佳采样理论的目的，综合方差估计。我们展示了我们的理论如何自然地导致识别过程，这使我们能够恢复未观察到的噪声的时刻，这个过程可能是有用的，在其他应用中。最后，使用期权交易者的替代方差预测的基础上获得的利润作为我们的经济指标，我们发现，显式优化实现方差的有限样本MSE属性的结果准确的预测和可观的经济收益。
A recent and extensive literature has pioneered the summing of squared observed intra-daily returns, "realized variance", to estimate the daily integrated variance of financial asset prices, a traditional object of economic interest. We show that, in the presence of market microstructure noise, realized variance does not identify the daily integrated variance of the frictionless equilibrium price. However, we demonstrate that the noise-induced bias at very high sampling frequencies can be appropriately traded off with the variance reduction obtained by high-frequency sampling and derive a mean-squared-error (MSE) optimal sampling theory for the purpose of integrated variance estimation. We show how our theory naturally leads to an identification procedure, which allows us to recover the moments of the unobserved noise; this procedure may be useful in other applications. Finally, using the profits obtained by option traders on the basis of alternative variance forecasts as our economic metric, we find that explicit optimization of realized variance's finite sample MSE properties results in accurate forecasts and considerable economic gains.